Team Leader 2019.01-2019.01

Took component stocks in 000300.SH as the research object, adopt PS, PE, market value, divert as factors according to IC/IR standard; Constructed a multi-factor combination strategy with Sharpe ratio 3.48.

Selected Alpha 191 as the feature, used PCA to reduce dimension, and trained the artificial neural network strategy with an accuracy rate and AUC of more than 90% on the test set; Won First Prize.

Inspired by the passion for applying information technology to a specific area and generalizing productivity.